Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Year of publication: |
November 2015
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Authors: | Iglesias, Emma M. |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 50.2015, p. 1-8
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Subject: | Pareto tail thickness parameter | GARCH-type models | Value at Risk | Extreme value theory | Heavy tails | Stock indexes | Eurozone | Risikomaß | Risk measure | Aktienindex | Stock index | EU-Staaten | EU countries | Theorie | Theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Schätzung | Estimation | Kapitaleinkommen | Capital income |
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